Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model

碩士 === 國立暨南國際大學 === 經濟學系 === 91 === This thesis tries to evaluate the Probit model which is proposed by Frankel and Rose in 1996 for predicting currency crises. The idea is try to answer the question：If we had been using the Probit model in late 1996, how well armed would we have been to predict the...

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Bibliographic Details
Main Authors:	Wong Kin Fai, 黃健輝
Other Authors:	Yin-Feng Gau
Format:	Others
Language:	zh-TW
Published:	2003
Online Access:	http://ndltd.ncl.edu.tw/handle/ekka4y

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spelling	ndltd-TW-091NCNU03890132018-04-10T17:13:31Z http://ndltd.ncl.edu.tw/handle/ekka4y Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model 貨幣危機是否可預測:Probit模型,Logit模型與馬可夫轉換模型之實證比較 Wong Kin Fai 黃健輝碩士國立暨南國際大學經濟學系 91 This thesis tries to evaluate the Probit model which is proposed by Frankel and Rose in 1996 for predicting currency crises. The idea is try to answer the question：If we had been using the Probit model in late 1996, how well armed would we have been to predict the Asian currency crisis and the South-America currency crisis? Furthermore, we utilized the Logit model and Markov switching model to predict currency crisis, and compared the performance with the Probit model. This study focuses on the empirical analysis of 8 crisis countries from 1990 to 2003. According to the empirical results, we ended up with the following conclusions： Logit model has the best performance for predicting currency crises. Yin-Feng Gau 高櫻芬 2003 學位論文 ; thesis 90 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 國立暨南國際大學 === 經濟學系 === 91 === This thesis tries to evaluate the Probit model which is proposed by Frankel and Rose in 1996 for predicting currency crises. The idea is try to answer the question：If we had been using the Probit model in late 1996, how well armed would we have been to predict the Asian currency crisis and the South-America currency crisis? Furthermore, we utilized the Logit model and Markov switching model to predict currency crisis, and compared the performance with the Probit model. This study focuses on the empirical analysis of 8 crisis countries from 1990 to 2003. According to the empirical results, we ended up with the following conclusions： Logit model has the best performance for predicting currency crises.
author2	Yin-Feng Gau
author_facet	Yin-Feng Gau Wong Kin Fai 黃健輝
author	Wong Kin Fai 黃健輝
spellingShingle	Wong Kin Fai 黃健輝 Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model
author_sort	Wong Kin Fai
title	Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model
title_short	Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model
title_full	Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model
title_fullStr	Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model
title_full_unstemmed	Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model
title_sort	are currency crises predictable: the performance of probit model, logit model and markov-switch model
publishDate	2003
url	http://ndltd.ncl.edu.tw/handle/ekka4y
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Are Currency crises predictable: The performance of Probit model, Logit model and Markov-switch model

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